English

A Sobolev inequality and the individual invariance principle for diffusions in a periodic potential

Probability 2016-01-13 v1 Analysis of PDEs

Abstract

We consider a diffusion process in Rd\mathbb{R}^d with a generator of the form L:=12eV(x)div(eV(x)) L:=\frac 12 e^{V(x)}div(e^{-V(x)}\nabla ) where VV is measurable and periodic. We only assume that eVe^V and eVe^{-V} are locally integrable. We then show that, after proper rescaling, the law of the diffusion converges to a Brownian motion for Lebesgue almost all starting points. This pointwise invariance principle was previously known under uniform ellipticity conditions (when VV is bounded), and was recently proved under more restrictive LpL^p conditions on eVe^V and eVe^{-V}. Our approach uses Dirichlet form theory to define the process, martingales and time changes and the construction of a corrector. Our main technical tool to show the sub-linear growth of the corrector is a new weighted Sobolev type inequality for integrable potentials. We heavily rely on harmonic analysis technics.

Keywords

Cite

@article{arxiv.1312.4817,
  title  = {A Sobolev inequality and the individual invariance principle for diffusions in a periodic potential},
  author = {Moustapha Ba and Pierre Mathieu},
  journal= {arXiv preprint arXiv:1312.4817},
  year   = {2016}
}